Classification tables for each token

rows are predicted, columns are actual

anomaly threshold = 0.25

prediction horizon = 3

prediction length = 100

         actual_anom
pred_anom FALSE TRUE
    FALSE   213   34

Multivariate time series results: model fit

Model p-values
B0 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.00 0.000 0.000 0.000 0.000 0.0 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000
B1 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.00 0.000 0.000 0.000 0.000 0.0 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000 0.000 0.000 0.000 0.00 0.000 0.000 0.000
priceReturn 0.476 0.463 0.492 0.483 0.573 0.583 0.615 0.671 0.667 0.652 0.623 0.634 0.55 0.544 0.531 0.522 0.582 0.542 0.672 0.56 0.619 0.609 0.603 0.606 0.604 0.544 0.611 0.604 0.639 0.622 0.612 0.586 0.578 0.571 0.565 0.564 0.557 0.543 0.529 0.524 0.544 0.55 0.552 0.543 0.546 0.532 0.529 0.533 0.523 0.581 0.579 0.568 0.569 0.562 0.55 0.53 0.524 0.517 0.511 0.507 0.5 0.483 0.481 0.478 0.457 0.452 0.433 0.426 0.47 0.51 0.506 0.478 0.463 0.461 0.457 0.451 0.444 0.446 0.449 0.446 0.449 0.413 0.407 0.417 0.401 0.401 0.395 0.425 0.414 0.445 0.439 0.433 0.449 0.454 0.439 0.469 0.466 0.461 0.46 0.466 0.469 0.375 0.398 0.415 0.403 0.276 0.33 0.295 0.296 0.308 0.319 0.274 0.27 0.256 0.232 0.091 0.121 0.109 0.102 0.106 0.12 0.128 0.162 0.155 0.145 0.119 0.113 0.122 0.124 0.131 0.106 0.126 0.135 0.074 0.056 0.05 0.045 0.04 0.046 0.037 0.057 0.056 0.053 0.047 0.043 0.037 0.043 0.043 0.037 0.045 0.045 0.045 0.051 0.066 0.07 0.064 0.087 0.117 0.134 0.129 0.354 0.374 0.359 0.373 0.345 0.113 0.27 0.266 0.264 0.236 0.233 0.219 0.216 0.214 0.208 0.205 0.21 0.205 0.193 0.198 0.092 0.088 0.086 0.088 0.086 0.083 0.083 0.08 0.079 0.082 0.11 0.091 0.062 0.073 0.074 0.071 0.074 0.085 0.084 0.082 0.083 0.082 0.091 0.089 0.089 0.074 0.068 0.068 0.066 0.086 0.083 0.082 0.101 0.092 0.089 0.085 0.082 0.079 0.071 0.07 0.069 0.067 0.062 0.059 0.057 0.054 0.058 0.054 0.053 0.051 0.05 0.051 0.043 0.043 0.043 0.043 0.04 0.038 0.037 0.044 0.044 0.043 0.039 0.04 0.034 0.031 0.029

Multivariate time series results: adjusted r-squared

Model R-squared
B0 0.946 0.946 0.947 0.945 0.944 0.944 0.944 0.944 0.944 0.945 0.946 0.941 0.941 0.942 0.942 0.943 0.944 0.939 0.937 0.937 0.937 0.938 0.938 0.939 0.939 0.937 0.937 0.936 0.936 0.936 0.937 0.937 0.937 0.938 0.938 0.938 0.938 0.939 0.938 0.937 0.936 0.936 0.936 0.936 0.937 0.937 0.937 0.937 0.938 0.937 0.937 0.937 0.937 0.937 0.936 0.936 0.934 0.934 0.935 0.935 0.935 0.934 0.934 0.935 0.935 0.935 0.935 0.935 0.935 0.935 0.935 0.934 0.934 0.934 0.934 0.935 0.935 0.935 0.936 0.936 0.936 0.936 0.935 0.935 0.935 0.935 0.935 0.936 0.936 0.936 0.936 0.937 0.937 0.937 0.935 0.936 0.935 0.935 0.935 0.936 0.934 0.934 0.934 0.935 0.934 0.934 0.934 0.934 0.934 0.934 0.935 0.934 0.934 0.934 0.933 0.933 0.934 0.933 0.934 0.934 0.934 0.934 0.934 0.934 0.933 0.933 0.933 0.934 0.934 0.933 0.933 0.933 0.933 0.933 0.933 0.933 0.933 0.933 0.933 0.933 0.932 0.933 0.932 0.932 0.932 0.932 0.932 0.933 0.932 0.932 0.932 0.932 0.932 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.930 0.930 0.930 0.930 0.930 0.931 0.930 0.931 0.931 0.931 0.930 0.931 0.931 0.931 0.931 0.931 0.932 0.931 0.931 0.931 0.931 0.932 0.931 0.931 0.931 0.931 0.932 0.932 0.932 0.932 0.932 0.931 0.931 0.931 0.931 0.931 0.930 0.930 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.930 0.931 0.931 0.931 0.931 0.931 0.932 0.932 0.931 0.932 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.930 0.931 0.931 0.931 0.931 0.931 0.930 0.930 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.931 0.932
B1 0.964 0.963 0.963 0.964 0.964 0.965 0.965 0.965 0.966 0.966 0.966 0.967 0.967 0.967 0.968 0.968 0.968 0.969 0.969 0.969 0.970 0.970 0.970 0.971 0.971 0.967 0.967 0.967 0.967 0.967 0.967 0.967 0.967 0.967 0.968 0.968 0.968 0.968 0.969 0.969 0.969 0.969 0.970 0.970 0.970 0.970 0.971 0.971 0.968 0.968 0.968 0.967 0.968 0.968 0.968 0.968 0.968 0.968 0.969 0.969 0.969 0.969 0.970 0.970 0.970 0.970 0.967 0.967 0.967 0.967 0.967 0.967 0.967 0.968 0.968 0.968 0.968 0.966 0.966 0.966 0.966 0.966 0.966 0.966 0.966 0.967 0.967 0.967 0.967 0.967 0.968 0.968 0.968 0.965 0.965 0.965 0.964 0.964 0.964 0.965 0.964 0.964 0.964 0.964 0.964 0.964 0.965 0.965 0.965 0.964 0.964 0.964 0.964 0.964 0.964 0.966 0.965 0.965 0.965 0.965 0.965 0.965 0.966 0.966 0.966 0.966 0.966 0.966 0.967 0.967 0.967 0.967 0.967 0.967 0.967 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.969 0.969 0.969 0.969 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.967 0.967 0.967 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.969 0.968 0.969 0.969 0.969 0.969 0.969 0.969 0.969 0.968 0.968 0.968 0.968 0.968 0.968 0.969 0.969 0.969 0.969 0.969 0.969 0.969 0.970 0.968 0.968 0.969 0.969 0.969 0.969 0.969 0.969 0.969 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.969 0.969 0.969 0.969 0.969 0.969 0.969 0.969 0.968 0.968 0.969 0.969 0.969 0.969 0.969 0.969 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968 0.968
priceReturn -0.003 -0.002 -0.005 -0.004 -0.014 -0.014 -0.018 -0.023 -0.022 -0.021 -0.018 -0.019 -0.010 -0.010 -0.008 -0.007 -0.013 -0.009 -0.021 -0.011 -0.016 -0.015 -0.014 -0.014 -0.014 -0.009 -0.014 -0.014 -0.016 -0.015 -0.014 -0.012 -0.011 -0.010 -0.010 -0.010 -0.009 -0.008 -0.007 -0.006 -0.008 -0.008 -0.008 -0.008 -0.008 -0.007 -0.006 -0.007 -0.006 -0.010 -0.010 -0.009 -0.009 -0.008 -0.008 -0.006 -0.006 -0.005 -0.005 -0.004 -0.004 -0.003 -0.003 -0.002 -0.001 -0.001 0.001 0.001 -0.002 -0.004 -0.004 -0.002 -0.001 -0.001 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000 0.002 0.002 0.002 0.003 0.003 0.003 0.001 0.002 0.000 0.000 0.001 0.000 -0.001 0.000 -0.002 -0.001 -0.001 -0.001 -0.001 -0.002 0.004 0.003 0.001 0.002 0.010 0.007 0.009 0.009 0.008 0.007 0.010 0.010 0.011 0.013 0.038 0.032 0.034 0.035 0.034 0.032 0.030 0.025 0.026 0.027 0.031 0.032 0.030 0.030 0.029 0.033 0.029 0.028 0.038 0.043 0.045 0.046 0.048 0.045 0.048 0.041 0.041 0.042 0.044 0.045 0.047 0.045 0.045 0.046 0.043 0.043 0.043 0.041 0.037 0.036 0.037 0.032 0.027 0.025 0.025 0.006 0.005 0.006 0.005 0.007 0.030 0.011 0.012 0.012 0.014 0.014 0.015 0.015 0.016 0.016 0.016 0.016 0.016 0.017 0.016 0.031 0.032 0.032 0.032 0.032 0.032 0.032 0.033 0.033 0.032 0.027 0.030 0.036 0.033 0.033 0.034 0.033 0.031 0.031 0.031 0.031 0.031 0.029 0.029 0.029 0.032 0.033 0.033 0.033 0.029 0.030 0.030 0.027 0.028 0.028 0.029 0.029 0.030 0.031 0.031 0.031 0.032 0.032 0.033 0.033 0.034 0.033 0.034 0.034 0.034 0.034 0.034 0.036 0.036 0.036 0.035 0.036 0.037 0.037 0.035 0.035 0.035 0.036 0.035 0.037 0.038 0.039

Multivariate time series results: gragner causality p-value

H0: B0 and B1 do not cause price return: large p-value – no relationship

Model Gragner Causality p-values
Granger 0.297 0.286 0.310 0.308 0.411 0.428 0.421 0.491 0.484 0.476 0.498 0.515 0.420 0.406 0.387 0.384 0.424 0.415 0.558 0.468 0.510 0.497 0.489 0.505 0.503 0.439 0.514 0.506 0.547 0.532 0.530 0.50 0.488 0.483 0.477 0.479 0.473 0.459 0.449 0.446 0.474 0.488 0.492 0.486 0.489 0.458 0.457 0.466 0.461 0.528 0.529 0.515 0.509 0.502 0.486 0.467 0.462 0.458 0.453 0.448 0.442 0.423 0.423 0.422 0.407 0.403 0.387 0.383 0.437 0.484 0.482 0.453 0.431 0.433 0.423 0.416 0.413 0.407 0.416 0.413 0.418 0.382 0.375 0.389 0.359 0.354 0.345 0.337 0.333 0.333 0.330 0.325 0.358 0.361 0.345 0.380 0.378 0.374 0.375 0.383 0.387 0.302 0.322 0.346 0.264 0.175 0.222 0.208 0.188 0.174 0.179 0.133 0.131 0.128 0.149 0.361 0.420 0.394 0.387 0.393 0.453 0.454 0.518 0.513 0.481 0.381 0.376 0.381 0.353 0.362 0.339 0.336 0.332 0.270 0.295 0.292 0.272 0.249 0.256 0.261 0.340 0.341 0.323 0.314 0.291 0.288 0.331 0.334 0.307 0.348 0.349 0.267 0.280 0.282 0.316 0.256 0.270 0.284 0.264 0.281 0.391 0.251 0.202 0.207 0.173 0.281 0.170 0.168 0.166 0.165 0.163 0.153 0.151 0.152 0.149 0.151 0.154 0.149 0.137 0.140 0.209 0.194 0.190 0.194 0.190 0.188 0.188 0.185 0.184 0.194 0.255 0.212 0.147 0.175 0.184 0.181 0.181 0.213 0.212 0.209 0.191 0.194 0.197 0.181 0.182 0.166 0.140 0.140 0.137 0.165 0.16 0.162 0.187 0.179 0.181 0.179 0.174 0.153 0.149 0.147 0.145 0.141 0.136 0.133 0.126 0.118 0.120 0.113 0.112 0.109 0.108 0.107 0.100 0.102 0.101 0.104 0.094 0.090 0.089 0.089 0.093 0.091 0.086 0.089 0.078 0.069 0.067
Instant 0.639 0.640 0.585 0.567 0.521 0.520 0.678 0.560 0.566 0.563 0.577 0.506 0.488 0.495 0.531 0.533 0.564 0.682 0.629 0.620 0.561 0.562 0.559 0.557 0.549 0.812 0.789 0.795 0.740 0.737 0.718 0.72 0.716 0.715 0.712 0.729 0.725 0.722 0.746 0.738 0.716 0.745 0.737 0.734 0.733 0.762 0.756 0.756 0.757 0.756 0.759 0.760 0.774 0.773 0.757 0.754 0.733 0.739 0.737 0.733 0.731 0.753 0.754 0.761 0.771 0.769 0.781 0.778 0.832 0.819 0.815 0.845 0.842 0.828 0.828 0.825 0.823 0.849 0.863 0.864 0.867 0.856 0.880 0.861 0.858 0.855 0.819 0.774 0.783 0.727 0.723 0.725 0.769 0.759 0.832 0.845 0.847 0.847 0.841 0.852 0.823 0.764 0.810 0.812 0.927 0.899 0.854 0.830 0.842 0.837 0.837 0.920 0.935 0.946 0.879 0.780 0.704 0.652 0.649 0.628 0.623 0.639 0.647 0.644 0.677 0.617 0.609 0.600 0.643 0.601 0.579 0.606 0.575 0.554 0.637 0.637 0.672 0.670 0.689 0.693 0.545 0.553 0.572 0.571 0.569 0.564 0.590 0.572 0.635 0.607 0.612 0.599 0.546 0.434 0.359 0.353 0.459 0.521 0.503 0.539 0.385 0.350 0.377 0.386 0.393 0.602 0.393 0.390 0.391 0.388 0.384 0.383 0.384 0.385 0.394 0.437 0.437 0.435 0.435 0.453 0.660 0.660 0.662 0.669 0.668 0.666 0.665 0.661 0.632 0.632 0.681 0.699 0.693 0.712 0.696 0.698 0.720 0.507 0.510 0.506 0.516 0.517 0.575 0.573 0.575 0.584 0.579 0.552 0.554 0.581 0.58 0.587 0.440 0.468 0.471 0.471 0.469 0.463 0.469 0.470 0.496 0.502 0.483 0.478 0.468 0.461 0.424 0.421 0.416 0.420 0.430 0.419 0.415 0.388 0.383 0.381 0.376 0.365 0.363 0.365 0.355 0.379 0.375 0.382 0.390 0.401 0.382